Marginal Density Expansions for Diffusions and Stochastic Volatility II: Applications

DOI10.1002/cpa.21483zbMath1415.91326OpenAlexW2109233405MaRDI QIDQ5746487

Peter K. Friz, S. Violante, Jean-Dominique Deuschel, Antoine Jacquier

Publication date: 18 February 2014

Published in: Communications on Pure and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1002/cpa.21483

Mathematics Subject Classification ID

Financial applications of other theories (91G80)

Related Items (24)

Large Deviation Principle for Volterra Type Fractional Stochastic Volatility Models ⋮ Black-Scholes in a CEV random environment ⋮ Asymptotics Beats Monte Carlo: The Case of Correlated Local Vol Baskets ⋮ General Asymptotics of Wiener Functionals and Application to Implied Volatilities ⋮ Small-Time Asymptotics for the At-the-Money Implied Volatility in a Multi-dimensional Local Volatility Model ⋮ Asymptotic Expansion Approach in Finance ⋮ On the Probability Density Function of Baskets ⋮ Local Volatility, Conditioned Diffusions, and Varadhan's Formula ⋮ Option pricing in the moderate deviations regime ⋮ Reconstructing volatility: Pricing of index options under rough volatility ⋮ Symmetries and zero modes in sample path large deviations ⋮ Extreme-strike asymptotics for general Gaussian stochastic volatility models ⋮ SUPPORT THEOREM FOR PINNED DIFFUSION PROCESSES ⋮ Small-Time Asymptotics under Local-Stochastic Volatility with a Jump-to-Default: Curvature and the Heat Kernel Expansion ⋮ FUNCTIONAL ANALYTIC (IR-)REGULARITY PROPERTIES OF SABR-TYPE PROCESSES ⋮ The large-maturity smile for the Stein-Stein model ⋮ Precise asymptotics: robust stochastic volatility models ⋮ Distance to the line in the Heston model ⋮ Marginal Density Expansions for Diffusions and Stochastic Volatility I: Theoretical Foundations ⋮ Large-maturity regimes of the Heston forward smile ⋮ Asymptotic behaviour of randomised fractional volatility models ⋮ Short-time near-the-money skew in rough fractional volatility models ⋮ Small-time asymptotics for Gaussian self-similar stochastic volatility models ⋮ Asymptotics of Forward Implied Volatility

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